Carry Trades and Global Foreign Exchange Volatility
|
|
- Ralf Bishop
- 8 years ago
- Views:
Transcription
1 Carry Trades and Global Foreign Exchange Volatility Lukas Menkhoff Leibniz Universität Hannover Maik Schmeling Leibniz Universität Hannover Lucio Sarno CASS Business School and CEPR Andreas Schrimpf Aarhus University and CREATES 1 / 53
2 Motivation We study the risk-return profile of carry trades in FX markets: Borrow money in low interest rate currencies (e.g. JPY). Invest in high interest rate currencies (e.g. AUD). Uncovered interest parity (UIP) suggests that changes in the exchange rates will eliminate this interest rate margin. However, this mechanism fails on a grand scale: forward premium puzzle (Hansen, Hodrick 1980, 1983; Fama, 1984). considerable returns to currency speculation (e.g. Lustig, Verdelhan, 2007; Burnside et al., 2008, 2009; Lustig, Roussanov, Verdelhan, 2009). This paper: cross-section of carry trade returns can be explained by exposure to global FX volatility risk. 2 / 53
3 Preview: Excess returns and volatility states Figure : Excess Returns on Carry Trade (H/L) Portfolio and Volatility (a) All Countries (b) Developed Countries Average excess returns (in % p.a.) Average excess returns (in % p.a.) Low 2 3 High Distribution of Global FX Volatility -10 Low 2 3 High Distribution of Global FX Volatility 3 / 53
4 Motivation for volatility risk Intertemporal CAPM (ICAPM): According to ICAPM theory (Merton, 1973; Campbell, 1993), investors are concerned about deteriorations of the investment opportunities set. Chen (2003) and Ang et al. (2006): volatility as a state variable affecting the evolution of future investment opportunities (unexpected) market volatility as a systematic risk factor. Implications related to Coskew (Harvey and Siddique, 1999), non-linear pricing kernels (Dittmar, 2005). This paper takes a cross-sectional asset pricing / SDF route to explain the returns to currency speculation. 4 / 53
5 Recent literature Lustig and Verdelhan (2007) were the first to look at a cross-section of carry trade portfolios offer a consumption-based explanation. Brunnermeier et al. (2008): currency crashes and funding liquidity. Burnside et al. (2008, 2009): role of Peso problems, standard risk factors fail to explain returns to currency speculation. Lustig, Roussanov, and Verdelhan (LRV, 2009) study an empirically derived slope factor to price the cross-section of currency returns Two important factors: a level (Dollar risk) and a slope (HML FX ) factor. 5 / 53
6 Overview of main results 1 Global FX volatility accounts for the cross-sectional spread in expected carry trade returns. 2 Sorting currencies by their exposure to past volatility innovations reproduces the cross-section of carry trade portfolios. 3 Volatility dominates liquidity risk in horse races. suggests systematic results across asset classes (e.g. Ang et al. 2006; Bandi et al. 2008; Da, Schaumburg, 2009). 4 Proposed risk factor is also helpful for pricing other assets as well. Overall, the results in this paper suggest that there is a meaningful risk-return relation in the FX market. 6 / 53
7 Data We use data on forward rates (f ) and spot rates (s) from BBI and Reuters/WMF (via Datastream). Total sample consists of 48 countries. Countries We also use a smaller sample of 15 developed countries. Sample period: 11/ /2009 (monthly). 7 / 53
8 Currency excess returns We calculate excess returns for a US investor. USD excess return to investing in foreign currency k: rx k t+1 = i k t i US t s k t+1 s k t : log spot exchange rate (foreign currency per one unit USD) (s increases USD appreciates). Since the (log) forward discount ft k st k it k it US rx k t+1 = f k t s k t+1 (CIP): 8 / 53
9 Currency portfolios Sort currencies into five portfolios based on (lagged) forward discounts (i.e. interest rate differentials): Portfolio 1: 20% of all currencies with lowest forward discounts i.e. lowest interest rates relative to the US.... Portfolio 5: 20% of all currencies with highest forward discounts i.e. highest interest rates. Monthly re-balancing; transaction-cost adjusted returns. TC Two important portfolios (LRV 2009): Average of five portfolios: Dollar Risk -factor (DOL) Portfolio 5 minus Portfolio 1: Carry Trade -factor (HML FX ) 9 / 53
10 Currency portfolios: Excess returns All countries (with b-a) Portfolio Avg. H/L Mean Sharpe Ratio Developed countries (with b-a) Portfolio Avg. H/L Mean Sharpe Ratio Notes: The sample period is 11/ /2009, annualized monthly returns 10 / 53
11 A parsimonious linear two-factor SDF Chen (2003) extends discrete-time ICAPM of Campbell (1993,1996) by time-varying volatility ICAPM covariance with innovations to aggregate vol. as additional source of risk. Negative volatility risk premium: High unexpected volatility ( bad state of the world). Assets covarying positively with market vol. innovations provide a good hedge low expected return. A parsimonious two-factor SDF in line with the literature on equity markets (Ang et al. 2006): m t+1 = 1 b 1 r e m,t+1 b 2 V t+1 11 / 53
12 FX Volatility proxy σ FX t = 1 T t τ T t [ ( ) ] r k τ k K τ K τ r k τ return of currency k on day τ (daily spot rate change s τ ). K τ number of available currencies on day τ. T t number of trading days in month t. Average of daily absolute returns (across countries), averaged over the month. According to the ICAPM, only unexpected volatility should be priced - volatility innovations obtained from a simple AR(1). Carry trades perform poorly when global FX vol. is high: Corr( σ FX t, HML FX,t ) / 53
13 Carry trades and global FX volatility Cumulative Carry Trade Returns Cumulative log excess return (in % p.a.) Developed countries All countries Global FX Volatility 1.25 Global FX volatility Volatility Volatility innovations / 53
14 Empirical methodology: GMM Basic no-arbitrage pricing equation E[m t+1 rx i t+1] = 0, i = 1,..., N with a linear SDF m t = 1 b (h t µ). Estimation via GMM g(z t, θ) = [1 b (h t µ)] rx t h t µ (h t µ)(h t µ) Σ h We report b, implied λs, cross-sectional R 2 s, and HJ-dist with simulated p-values. Further methodological details 14 / 53
15 Overview of major results 1 Volatility risk captures the spread in cross-sectional carry trade excess returns. 2 Sorting currencies on past volatility-betas reproduces the cross-section of carry trade portfolios. 3 Volatility risk dominates in horse races with liquidity proxies. 15 / 53
16 Volatility risk: Cross-sectional asset pricing tests Factor Betas All countries (with b-a) PF α DOL VOL R Factor Prices and Loadings All countries (with b-a) GMM DOL VOL R 2 HJ-dist b s.e. (0.05) (2.96) (0.79) λ s.e. (0.25) (0.03) FMB DOL VOL χ 2 SH χ 2 NW λ (Sh) (0.15) (0.02) (0.72) (0.82) (NW) (0.12) (0.03) 16 / 53
17 Volatility risk: Cross-sectional asset pricing tests Fitted mean excess returns (in %) P P3 P4 2 1 P2 0-1 P Realized mean excess returns (in %) 17 / 53
18 Volatility risk: Factor-mimicking portfolio Global FX volatility innovations are not a traded risk factor (unlike market excess return in a standard CAPM or LRV s HML FX ). We also build a factor-mimicking portfolio for the volatility factor by projecting volatility innovations on the five currency portfolios: This yields a factor-mimicking portfolio: rx FM t+1 = 0.202rx 1 t rx 2 t rx 3 t rx 4 t rx 5 t+1 Average return: rx FM t+1 = 0.107% p.m. ( 1.3% p.a.). Advantages: Tradable risk factor. Check for plausibility of prices of risk. 18 / 53
19 Volatility risk: Factor mimicking portfolio Results Panel A: Factor Prices and Loadings All countries (with b-a) GMM DOL VOL FM R 2 HJ-dist b s.e. (0.03) (0.23) (0.64) λ s.e. (0.15) (0.03) FMB DOL VOL FM χ 2 SH χ 2 NW λ (Sh) (0.13) (0.02) (0.60) (0.20) (NW) (0.12) (0.02) Factor price estimate for the FM portfolio: -1.22% p.a., close to the average return p.a. on the FM PF. 19 / 53
20 Volatility risk: Factor risk price FX option markets JP Morgan data on FX options, maturity one month. 29 currencies quoted against the USD, sample period: How does our factor risk price estimate compare to estimates from option markets? Build a zero-beta straddle portfolio (long calls, long puts equal weights) in the spirit of Coval/Shumway (2002) Loads on volatility risk but not market risk. Average return on the straddle portfolio -1.2% p.a. Close to our estimates based on the FM PF. Close in magnitude to factor risk price for stock markets of -1% p.a. reported by Ang et al. (2006) 20 / 53
21 Volatility risk: Beta sorts Sort currencies into five portfolios based on their past betas with global FX vol. innovations, 36 months rolling window. All countries Portfolio Avg. H/L Mean Sharpe Ratio pre-f. f s post-f. f s Currencies with low vol-betas (PF 1) low payoffs in times of high vol. innovations: high excess returns and high f s. Currencies with high vol-betas (PF 5) hedge against vol. risk: low excess returns and low f s. Carry Trade selects currencies subject to high volatility risk. 21 / 53
22 Volatility versus liquidity risk (Il-)Liquidity proxies Global foreign exchange bid-ask spreads: ψ FX t = 1 T t τ T t [ k K τ ( ) ] ψ k τ TED spread: 3M interbank rate (LIBOR) minus 3M T-Bill rate (Brunnermeier, Nagel, Pedersen, 2008). U.S. stock market liquidity measure (Pastor/Stambaugh, 2003). K τ FX vol. is correlated with illiquidity proxies Correlations 22 / 53
23 Volatility versus liquidity risk: Liquidity risk Example: Bid-ask spreads Panel A: Factor Prices and Loadings Global bid-ask spreads All countries (with b-a) Developed countries (with b-a) GMM DOL BAS R 2 HJ-dist GMM DOL BAS R 2 HJ-dist b b s.e. (0.05) (26.48) (0.16) s.e. (0.03) (22.63) (0.36) λ λ s.e. (0.24) (0.01) s.e. (0.21) (0.01) 23 / 53
24 Volatility versus liquidity risk: Horse races Panel A: Volatility and global bid-ask spreads GMM DOL BAS VOL R 2 HJ-dist b s.e. (0.07) (36.08) (4.24) (0.82) λ s.e. (0.31) (0.02) (0.04) Panel B: Volatility and TED spread GMM DOL TED VOL R 2 HJ-dist b s.e. (0.05) (2.94) (3.28) (0.66) λ s.e. (0.25) (0.24) (0.03) Panel C: Volatility and P/S liquidity measure GMM DOL PS VOL R 2 HJ-dist b s.e. (0.07) (10.36) (3.82) (0.65) λ s.e. (0.29) (0.04) (0.04) 24 / 53
25 Overview of further results 1 Extreme observations: winsorized series and estimation by empirical likelihood approach. 2 Volatility risk ( σ FX ) is related, but not equivalent to the carry trade factor HML FX. 3 Our volatility risk factor is also priced in other cross-sections: FX momentum, U.S. equity momentum, U.S. corporate bonds and individual FX returns. 4 Further assets (FX options, int. bond portfolios) and more robustness tests. 25 / 53
26 Rare events Impact of extreme observations? GMM treats observations symmetrically. Empirical likelihood Information in extreme observations (endogeneously) receives different weight than normal observations. Attractive estimation approach in the presence of rare events or peso problems (Ghosh/Julliard 2008). Effect on factor risk prices? 26 / 53
27 Extreme observations Empirical Likelihood EL estimates Panel A: All countries Blockwise EL estimates b DOL b VOL λ DOL λ VOL b DOL b VOL λ DOL λ VOL coeff coeff s.e. (0.05) (2.52) (0.24) (0.03) s.e. (0.05) (2.54) (0.27) (0.03) OIR-Test 1.33 OIR-Test 3.37 p-value (0.72) p-value (0.34) EL estimates Panel B: Developed countries Blockwise EL estimates b DOL b VOL λ DOL λ VOL b DOL b VOL λ DOL λ VOL coeff coeff s.e. (0.04) (3.09) (0.21) (0.03) s.e. (0.04) (3.08) (0.24) (0.04) OIR-Test 0.76 OIR-Test 5.55 p-value (0.86) p-value (0.14) 27 / 53
28 Global FX volatility innovations and HML FX A non-traded factor cannot beat a (return-based) factor mimicking portfolio factor in a horse race (Cochrane 2005). A level playing field: Horse races between (return-based) VOL FM and HML FX. HML FX (2nd PC of CT returns) and VOL FM no clear winner (some multi-collinearity). Res1 Orthogonal component of HML FX does not contain explanatory power once considered jointly with VOL FM. Res2 Both global FX vol. risk and HML FX are powerful factors to explain the cross-section of FX risk premia. 28 / 53
29 Other assets: FX momentum, U.S. corporate bonds 5 FX momentum portfolios (sorted on returns over past 12 months), 11/ / corporate bond portfolios (AAA-BA), duration-adjusted as in Da/Schaumburg (2009), 04/ / Currency Momentum Portfolios US corporate bonds GMM DOL VOL R 2 HJ-dist GMM DOL VOL R 2 HJ-dist b b s.e. (0.05) (4.69) (0.10) s.e. (0.34) (8.38) (0.81) λ λ s.e. (0.27) (0.05) s.e. (1.31) (0.08) FMB DOL VOL χ 2 SH χ 2 NW FMB DOL VOL χ 2 SH χ 2 NW λ λ (Sh) (0.15) (0.03) (0.08) (0.00) (Sh) (1.08) (0.04) (0.75) (0.89) (NW) (0.15) (0.04) (NW) (1.30) (0.07) 29 / 53
30 Other assets: U.S. equity momentum 10 U.S. equity momentum portfolios (K. French s website). US equity momentum GMM DOL VOL R 2 HJ-dist b s.e. (0.54) (7.07) (0.01) λ s.e. (2.38) (0.07) FMB DOL VOL χ 2 SH χ 2 NW λ (Sh) (1.84) (0.05) (0.11) (0.16) (NW) (2.27) (0.06) HMLFX Traditional AP Models 30 / 53
31 Other assets: Individual currencies DOL VOL HML FX R 2 λ t-stat [2.08] [-3.19] BS p-val (0.25) (0.05) (0.01) λ t-stat [2.40] [2.67] BS p-val (0.16) (0.12) (0.79) λ t-stat [2.01] [-2.84] [1.09] BS p-val (0.23) (0.08) (0.51) (0.01) 31 / 53
32 FX Options JP Morgan data on FX options, maturity one month. 29 currencies quoted against the USD, sample period: Quoted implied volatilities for Calls and Puts, different moneyness (ATM, 25-Delta, 10-Delta). IV patterns for portfolios sorted on lagged forward discounts (f-s) and lagged volatility betas. Results Estimation on a cross-section of portfolio returns on FX option strategies. 32 / 53
33 FX Options: Cross-sectional asset pricing tests 12 option portfolios (risk reversals, bull spreads and bear spreads). 12 Option portfolios GMM DOL VOL R 2 HJ-dist b s.e. (0.08) (5.20) (0.38) λ s.e. (0.44) (0.04) FMB DOL VOL χ 2 SH χ 2 NW λ (Sh) (0.20) (0.02) (0.16) (0.68) (NW) (0.19) (0.03) FX Opt. 33 / 53
34 FX Options: Cross-sectional asset pricing tests 12 option portfolios (risk reversals, bull spreads and bear spreads). 12 Option portfolios GMM DOL VOL R 2 HJ-dist b s.e. (0.08) (5.20) (0.38) λ s.e. (0.44) (0.04) FMB DOL VOL χ 2 SH χ 2 NW λ (Sh) (0.20) (0.02) (0.16) (0.68) (NW) (0.19) (0.03) FX Opt. 34 / 53
35 More robustness tests Different proxies for aggregate volatility: Country weights. Implied volatility: CBOE VIX index and JP Morgan FX VIX. IV Longer maturities. Bonds Potential EIV problems due to pre-estimation of vol. innovations can be ruled out (GMM System approach). Coskewness measure of Harvey/Siddique no monotone patterns. Other base currencies (GBP, CHF, JPY), i.e. other investors. Sub-samples analysis. Non-linearities. 35 / 53
36 Conclusions 1 Volatility risk matters for explaining carry trade risk premia. High interest rate currencies ( investment currencies ) perform particularly poorly during times of high (unexpected) volatility. Low interest rate currencies ( funding currencies in the carry trade) provide a hedge against volatility innovations. 2 Our results are in line with results for other asset classes: Cross-sections of stock returns (e.g. Ang et al., 2006), stock options and corp. bonds (Da, Schaumburg, 2009). Volatility risk dominates proxies for market (il)liquidity. 3 Many more results indicating that risk premia in FX markets reflect compensation for volatility risk. Meaningful risk-return relation in the FX market. 36 / 53
37 Sample countries Australia Austria Belgium Brazil Bulgaria Canada Croatia Cyprus Czech Rep. Denmark Egypt Euro area Finland France Germany Greece Hong Kong Hungary India Indonesia Ireland Israel Italy Iceland Japan Kuwait Malaysia Mexico Netherlands N. Zealand Norway Philippines Poland Portugal Russia Saudi Arabia Singapore Slovakia Slovenia S. Africa South Korea Spain Sweden Switzerland Taiwan Thailand Ukraine U.K. Total sample consists of 48 countries. Developed country sample: 15 countries highlighted in red Back 37 / 53
38 Other base currencies: FX volatility proxy Global FX Volatility Global FX Volatility Global FX Volatility Back 38 / 53
39 Currency excess returns Transaction costs Long position (sell USD forward in t, buy spot USD in t + 1): rx l t+1 = f b t s a t+1 Short position (buy USD forward in t, sell spot USD in t + 1): rx s t+1 = f a t + s b t+1 Back 39 / 53
40 Volatility versus liquidity risk: Correlations Correlation coefficients VOL BAS TED -PS VOL BAS TED PS Back 40 / 53
41 Volatility versus liquidity risk: Liquidity risk Panel A: Factor Prices and Loadings Global bid-ask spreads All countries (with b-a) Developed countries (with b-a) GMM DOL BAS R 2 HJ-dist GMM DOL BAS R 2 HJ-dist b b s.e. (0.05) (26.48) (0.16) s.e. (0.03) (22.63) (0.36) λ λ s.e. (0.24) (0.01) s.e. (0.21) (0.01) Panel B: Factor Prices and Loadings TED spread All countries (with b-a) Developed countries (with b-a) GMM DOL TED R 2 HJ-dist GMM DOL TED R 2 HJ-dist b b s.e. (0.07) (3.35) (0.53) s.e. (0.04) (2.06) (0.16) λ λ s.e. (0.30) (0.28) s.e. (0.24) (0.17) Panel C: Factor Prices and Loadings Pastor/Stambaugh liquidity measure All countries (with b-a) Developed countries (with b-a) GMM DOL PS R 2 HJ-dist GMM DOL PS R 2 HJ-dist b b s.e. (0.05) (8.29) (0.09) s.e. (0.04) (9.05) (0.94) λ λ s.e. (0.22) (0.03) s.e. (0.23) (0.03) Back 41 / 53
42 Empirical methodology The baseline SDF specification is given as A few further details: m t+1 = 1 b DOL (DOL t+1 µ DOL ) b VOL σ FX t+1. Estimation by pre-specified weighting matrix, equal weights for the test asset returns. HAC standard errors Newey-West with optimal lag selection by Andrews (1991). Factor risk prices λ backed out from the SDF slope parameters. We also report results from traditional FMB OLS two-pass regressions (incl. Shanken adjustments) i.e. beta-pricing framework. Back 42 / 53
43 ICAPM motivation of volatility risk Asset pricing in the discrete-time ICAPM (Campbell, 1993/1996 and extended by Chen 2003) E t ( r e i,t+1 ) + V ii,t 2 = γv im,t + (γ 1) V ih,t (γ 1)2 V iν,t 2 Three sources of risk premia: 1 V im,t Cov t ( r e i,t+1, r m,t+1 ), rm,t+1 is the market return. 2 V ih,t Cov t ( r e i,t+1, r h,t+1 ), rh,t+1 (E t+1 E t) j =1 ρj r m,t+1+j (changes in forecasts of future market returns). ( ) 3 V iν,t Cov t r e i,t+1, r ν,t+1, r ν,t+1 (E t+1 E t) j =1 ρj Var t+j (r m,t+j +1 + r h,t+j +1) (changes in forecasts of future market variances). Back 43 / 53
44 Horse-Races Interpretation A non-traded factor cannot beat a (return-based) factor mimicking portfolio factor in a horse race (e.g. Cochrane 2005). A level playing field: Horse races between the (return-based) VOL FM and HML FX. HML FX (essentially the second PC of CT returns) and VOL FM no clear winner (some multi-collinearity). Orthogonal component of HML FX does not contain explanatory power once included jointly with VOL FM. Individual currencies, economic magnitude of pricing errors: points towards an important role of volatility risk. Both HML FX and global FX vol. risk are powerful factors to explain the cross-section of FX risk premia. Back 44 / 53
45 Global FX volatility innovations and HML FX A non-traded factor can never beat a (return-based) factor mimicking portfolio in a horse race (e.g. Cochrane 2005). A level playing field: Horse races between (return-based) vol. innovations factor mimicking portfolio VOL FM and HML FX. Panel A: Volatility innovations and HML FX GMM DOL VOL HML FX R 2 HJ-dist b s.e. (0.06) (6.06) (0.07) (0.63) λ s.e. (0.27) (0.06) (0.33) Panel B: Factor-mimicking portfolio and HML FX GMM DOL VOL FM HML FX R 2 HJ-dist b s.e. (0.05) (1.52) (0.09) (0.69) λ s.e. (0.18) (0.01) (0.27) Back 45 / 53
46 Global FX volatility innovations and HML FX HML FX ( 2nd PC of CT returns) and VOL FM are strongly related multicollinearity issues when considering both at the same time. orthogonalizing VOL FM and HML FX against each other. Panel C: Factor-mimicking portfolio (orth.) and HML FX GMM DOL VOL Orth. FM HML FX R 2 HJ-dist b s.e. (0.04) (4.34) (0.03) (0.46) λ s.e. (0.16) (0.01) (0.24) Panel D: Factor-mimicking portfolio and HML FX (orth.) GMM DOL VOL FM HML Orth. FX R 2 HJ-dist b s.e. (0.04) (0.27) (0.06) (0.51) λ s.e. (0.19) (0.04) (1.09) Back 46 / 53
47 Other test assets: Individual currencies Mean excess return (in %) UAH BRL BGN SKK GBP HKD MYR ISK KRW EUR Volatility beta Notes: This figure cross-plots individual currencies volatility betas (horizontal axis) against mean excess returns (vertical axis). The red line shows the linear relation between betas and returns from a robust regression of returns on betas. Returns and betas for each currencies are calculated over the full available sample for that currency. Back 47 / 53
48 Implied volatility indices Factor Betas JPM G-7 Currency VIX S&P 500 VIX PF α DOL VIX R 2 PF α DOL VIX R (0.09) (0.06) (0.06) (0.09) (0.05) (0.02) (0.07) (0.05) (-0.16) (0.06) (0.04) (-0.02) (0.07) (0.05) (0.08) (0.06) (0.04) (0.02) (0.07) (0.05) (0.08) (0.06) (0.04) (0.02) (0.13) (0.10) (0.14) (0.12) (0.07) (0.03) Back 48 / 53
49 FX Option Portfolios Risk Reversals: long 25-Delta Put, short 25-Delta Call Bull spreads: long ATM Call, short 25-Delta Call Bear spreads: long ATM Put, short 25-Delta Put 4 portfolios for each strategy depending on lagged forward discount. Back 49 / 53
50 Other test assets and canonical models of equity pricing 10 U.S. equity momentum portfolios. Traditional asset pricing models (CAPM, Fama-French 3-factor model). Factor Prices and Loadings US stock momentum: CAPM US stock momentum: 3-factor model GMM MKTRF R 2 HJ-dist GMM MKTRF SMB HML R 2 HJ-dist b b s.e. (0.02) (0.00) s.e. (0.04) (0.18) (0.22) (0.02) λ 0.81 λ s.e. (0.36) s.e. (0.43) (1.25) (1.52) FMB MKTRF χ 2 SH χ 2 NW FMB MKTRF SMB HML χ 2 SH χ 2 NW λ λ (Sh) (0.27) (0.00) (0.00) (Sh) (0.28) (0.84) (0.98) (0.03) (0.01) (NW) (0.30) (NW) (0.29) (1.14) (1.42) Back 50 / 53
51 Other assets: HML FX 5 Currency Momentum Portfolios GMM DOL HML FX R 2 HJ-dist b s.e. (0.04) (0.05) (0.06) λ s.e. (0.16) (0.42) US stock momentum GMM DOL HML FX R 2 HJ-dist b s.e. (1.72) (0.85) (0.00) λ s.e. (7.13) (5.46) US corporate bonds GMM DOL HML FX R 2 HJ-dist b s.e. (0.29) (0.49) (0.01) λ s.e. (1.21) (3.58) Back 51 / 53
52 Other assets 5 portfolios of international bonds of different maturities sorted on redemption yield ( bond carry trade ). FX momentum portfolios (sorted on returns over past 12 months). 5 International Bond Portfolios 5 Currency Momentum Portfolios GMM DOL VOL R 2 HJ-dist GMM DOL VOL R 2 HJ-dist b b s.e. (0.04) (5.57) (0.07) s.e. (0.05) (4.69) (0.10) λ λ s.e. (0.31) (0.05) s.e. (0.27) (0.05) FMB DOL VOL χ 2 SH χ 2 NW FMB DOL VOL χ 2 SH χ 2 NW λ λ (Sh) (0.21) (0.03) (0.06) (0.12) (Sh) (0.15) (0.03) (0.08) (0.00) (NW) (0.16) (0.05) (NW) (0.15) (0.04) Back 52 / 53
53 FX Options IV patterns across portfolios Panel A: Carry Trade Portfolios Portfolio (low f-s) (high f-s) Delta Put 10-Delta Call [-3.91] [1.47] [1.77] [5.50] [9.47] [10.11] Panel B: Portfolios based on Volatility Betas Portfolio (low beta) (high beta) Delta Put 10-Delta Call [4.99] [4.00] [1.67] [0.52] [-0.56] [-3.75] High risk currencies (high f-s, low vol beta): higher IVs for puts than for calls Portfolio insurance for these high risk currencies is expensive. Back 53 / 53
Carry Trades and Global FX Volatility
Carry Trades and Global FX Volatility Lukas Menkhoff Lucio Sarno Maik Schmeling Andreas Schrimpf February 2009 Department of Economics, Leibniz Universität Hannover, Königsworther Platz 1, 30167 Hannover,
More informationCarry Trades and Global FX Volatility
MPRA Munich Personal RePEc Archive Carry Trades and Global FX Volatility Lukas Menkhoff and Lucio Sarno and Maik Schmeling and Andreas Schrimpf Leibniz Universität Hannover, Cass Business School, Center
More informationCarry Trades and Global Foreign Exchange Volatility
Carry Trades and Global Foreign Exchange Volatility Lukas Menkhoff Lucio Sarno Maik Schmeling Andreas Schrimpf February 2010 The authors would like to thank Alessandro Beber, Craig Burnside, Marcel Fratzscher,
More informationOnline appendix to paper Downside Market Risk of Carry Trades
Online appendix to paper Downside Market Risk of Carry Trades A1. SUB-SAMPLE OF DEVELOPED COUNTRIES I study a sub-sample of developed countries separately for two reasons. First, some of the emerging countries
More informationProbability Weighting of Rare Events and Currency Returns
Probability Weighting of Rare Events and Currency Returns Fousseni Chabi-Yo and Zhaogang Song March 17, 2013 Currency Returns: Carry Trade Strategy Currency carry trade strategy: borrow in countries with
More informationAxioma Risk Monitor Global Developed Markets 29 June 2016
Axioma Risk Monitor Global Developed Markets 29 June 2016 1. Global volatility hotspots 2. Global correlation hotspots www.axioma.com Greater than 1% rise over last week Greater than 1% fall over last
More informationForeign Taxes Paid and Foreign Source Income INTECH Global Income Managed Volatility Fund
Income INTECH Global Income Managed Volatility Fund Australia 0.0066 0.0375 Austria 0.0045 0.0014 Belgium 0.0461 0.0138 Bermuda 0.0000 0.0059 Canada 0.0919 0.0275 Cayman Islands 0.0000 0.0044 China 0.0000
More informationReporting practices for domestic and total debt securities
Last updated: 4 September 2015 Reporting practices for domestic and total debt securities While the BIS debt securities statistics are in principle harmonised with the recommendations in the Handbook on
More informationMassachusetts Institute of Technology Department of Economics Working Paper Series
Massachusetts Institute of Technology Department of Economics Working Paper Series CARRY TRADE AND SYSTEM RISK: WHY ARE FX OPTIONS SO CHEAP? Ricardo J. Caballero Joseph B. Doyle Working Paper 12-28 December
More informationWorld Consumer Income and Expenditure Patterns
World Consumer Income and Expenditure Patterns 2014 14th edi tion Euromonitor International Ltd. 60-61 Britton Street, EC1M 5UX TableTypeID: 30010; ITtableID: 22914 Income Algeria Income Algeria Income
More informationCarry Trades and Currency Crashes
Carry Trades and Currency Crashes Markus K. Brunnermeier, Stefan Nagel, Lasse Pedersen Princeton, Stanford, NYU AEA Meetings, January 2008 BNP (2008) Carry Trades & Currency Crashes AEA, Jan 2008 1 / 23
More informationCurrency Risk Premia and Macro Fundamentals
Currency Risk Premia and Macro Fundamentals Lukas Menkhoff IfW, Kiel Maik Schmeling Cass Business School, London Lucio Sarno Cass Business School, London Andreas Schrimpf Bank for International Settlements
More informationThe Foreign Exchange Market Not As Liquid As You May Think
06.09.2012 Seite 1 / 5 The Foreign Exchange Market Not As Liquid As You May Think September 6 2012 1 23 AM GMT By Loriano Mancini Angelo Ranaldo and Jan Wrampelmeyer The foreign exchange market facilitates
More information41 T Korea, Rep. 52.3. 42 T Netherlands 51.4. 43 T Japan 51.1. 44 E Bulgaria 51.1. 45 T Argentina 50.8. 46 T Czech Republic 50.4. 47 T Greece 50.
Overall Results Climate Change Performance Index 2012 Table 1 Rank Country Score** Partial Score Tendency Trend Level Policy 1* Rank Country Score** Partial Score Tendency Trend Level Policy 21 - Egypt***
More informationDownside market risk of carry trades
Downside market risk of carry trades Victoria Dobrynskaya 1 First version: March 2010 This version: March 2013 Abstract Carry trades consistently generate high excess returns with high Sharpe ratios. I
More informationOnline Appendix: Conditional Risk Premia in Currency Markets and. Other Asset Classes. Martin Lettau, Matteo Maggiori, Michael Weber.
Online Appendix: Conditional Risk Premia in Currency Markets and Other Asset Classes Martin Lettau, Matteo Maggiori, Michael Weber. Not for Publication We include in this appendix a number of details and
More informationCorporate Office 19200 Von Karman Ave Suite 150 Irvine, California 92612-8501. Toll Free: 888-643-3133 Fax: 949-502-0048 www.ifa.
Corporate Office 19200 Von Karman Ave Suite 150 Irvine, California 92612-8501 Toll Free: 888-643-3133 Fax: 949-502-0048 www.ifa.com All Dimensional portfolio returns are net of all fees unless otherwise
More informationOCTOBER 2010. Russell-Parametric Cross-Sectional Volatility (CrossVol ) Indexes Construction and Methodology
OCTOBER 2010 Russell-Parametric Cross-Sectional Volatility (CrossVol ) Indexes Construction and Methodology SEPTEMBER 2010 Russell-Parametric Cross-Sectional Volatility (CrossVol) Indexes Construction
More informationBrochure More information from http://www.researchandmarkets.com/reports/1339929/
Brochure More information from http://www.researchandmarkets.com/reports/1339929/ The 2011 World Forecasts of Machine Tools That Remove Material by Laser or Light, Photon, Ultrasonic, Electro-Discharge,
More informationAccess the world. with Schwab Global Investing Services
Access the world with Schwab Global Investing Services 78% of developed country equity market growth between 2000 and 2012 came from outside the U.S. 1 60% of developed country stock market capitalization
More informationTHE PRICING OF RISK IN THE CARRY TRADE
THE PRICING OF RISK IN THE CARRY TRADE by Wenna Lu A Thesis Submitted in Fulfilment of the Requirements for the Degree of Doctor of Philosophy of Cardiff University Economics Section of Cardiff Business
More informationMAUVE GROUP GLOBAL EMPLOYMENT SOLUTIONS PORTFOLIO
MAUVE GROUP GLOBAL SOLUTIONS PORTFOLIO At Mauve Group, we offer a variety of complete employee management services such as Global Employment Solutions (GES), Professional Employment Outsourcing (PEO),
More informationComposition of Premium in Life and Non-life Insurance Segments
2012 2nd International Conference on Computer and Software Modeling (ICCSM 2012) IPCSIT vol. 54 (2012) (2012) IACSIT Press, Singapore DOI: 10.7763/IPCSIT.2012.V54.16 Composition of Premium in Life and
More informationNBER WORKING PAPER SERIES CARRY TRADES AND RISK. Craig Burnside. Working Paper 17278 http://www.nber.org/papers/w17278
NBER WORKING PAPER SERIES CARRY TRADES AND RISK Craig Burnside Working Paper 17278 http://www.nber.org/papers/w17278 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 August
More informationAppendix 1: Full Country Rankings
Appendix 1: Full Country Rankings Below please find the complete rankings of all 75 markets considered in the analysis. Rankings are broken into overall rankings and subsector rankings. Overall Renewable
More informationThe spillover effects of unconventional monetary policy measures in major developed countries on developing countries
The spillover effects of unconventional monetary policy measures in major developed countries on developing countries Tatiana Fic National Institute of Economic and Social Research Objective The objective
More informationLiquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums Loriano Mancini Swiss Finance Institute and EPFL Angelo Ranaldo University of St. Gallen Jan Wrampelmeyer University
More informationB.3. Robustness: alternative betas estimation
Appendix B. Additional empirical results and robustness tests This Appendix contains additional empirical results and robustness tests. B.1. Sharpe ratios of beta-sorted portfolios Fig. B1 plots the Sharpe
More informationCredit & Debit Card Payments. Factsheet
Credit & Debit Card Payments Factsheet Contents 1. Card Types... 2 2. Supported countries... 2 3. First Funding via Credit / Debit Card... 3 4. Transaction Currencies... 4 5. Currency Conversion... 4 6.
More informationThe Case for International Fixed Income
The Case for International Fixed Income June 215 Introduction Investing in fixed-income securities outside of the United States is often perceived as a riskier strategy than deploying those assets domestically,
More informationMerchant's Default Payout in local currency
HiPay Mobile - 1 - EUROPE - AUSTRIA - Direct Carrier Billing Local EUR 1,10 0,92 Activated 0,3328 EUR 2,00 1,67 Activated 0,6870 EUR 3,00 2,50 Activated 1,1250 EUR 4,00 3,33 Activated 1,6797 EUR 5,00 4,17
More informationThe Determinants of Global Factoring By Leora Klapper
The Determinants of Global Factoring By Leora Klapper Factoring services can be traced historically to Roman times. Closer to our own era, factors arose in England as early as the thirteenth century, as
More informationBT Premium Event Call and Web Rate Card
BT Managed Event and BT Self-Managed Event (also referred to as Express, Plus and Premium) Conference Bridge and Call for Booked Audio Conferencing Services will comprise the following for each phone-conference:
More informationSECURITIES SERVICES FEES AND COMMISSIONS (for natural and legal persons)
SECURITIES SERVICES FEES AND COMMISSIONS (for natural and legal persons) AUSTRALIA FOP (Free-of- AUSTRIA FOP (Free-of- BELGIUM e FOP (Free-of- BULGARIA FOP (Free-of- CANADA e (if the value of a single
More informationThe Role of Banks in Global Mergers and Acquisitions by James R. Barth, Triphon Phumiwasana, and Keven Yost *
The Role of Banks in Global Mergers and Acquisitions by James R. Barth, Triphon Phumiwasana, and Keven Yost * There has been substantial consolidation among firms in many industries in countries around
More informationSupported Payment Methods
Sell Globally in a Snap Supported Payment Methods Global In the global payments market, credit cards are the most popular payment method. However, BlueSnap expands the payment selection by including not
More informationTriple-play subscriptions to rocket to 400 mil.
Triple-play criptions to rocket to 400 mil. Global triple-play criptions will reach 400 million by 2017; up by nearly 300 million on the end-2011 total and up by 380 million on the 2007 total, according
More informationTHE LOW INTEREST RATE ENVIRONMENT AND ITS IMPACT ON INSURANCE MARKETS. Mamiko Yokoi-Arai
THE LOW INTEREST RATE ENVIRONMENT AND ITS IMPACT ON INSURANCE MARKETS Mamiko Yokoi-Arai Current macro economic environment is of Low interest rate Low inflation and nominal wage growth Slow growth Demographic
More informationSecurities services fees and commissions
Securities services fees and commissions EQUITIES TRADING LITHUANIA, LATVIA, ESTONIA, trading shares on-line AB Nasdaq OMX Vilnius, AB Nasdaq OMX Riga, AB Nasdaq OMX Tallinn stock exchanges http://www.omxgroup.com
More informationSupported Payment Methods
Supported Payment Methods Global In the global payments market, credit cards are the most popular payment method. However, BlueSnap expands the payment selection by including not only the major credit
More informationNORTHERN TRUST GLOBAL TRADE CUT OFF DEADLINES
Argentina T+3 Only Govt Tsy Bills (Letes) have a settlement cycle of T+1, other fixed income securities have a T+3 settlement cycle. T+0 OTC Market (MAE) SD 1200 9amSD-2 9am SD T+3 T+0 SD 1500 9am SD 9am
More informationBANK FOR INTERNATIONAL SETTLEMENTS P.O. BOX, 4002 BASLE, SWITZERLAND
BANK FOR INTERNATIONAL SETTLEMENTS P.O. BOX, 4002 BASLE, SWITZERLAND PRESS RELEASE CENTRAL BANK SURVEY OF FOREIGN EXCHANGE AND DERIVATIVES MARKET ACTIVITY IN APRIL 1998: PRELIMINARY GLOBAL DATA The BIS
More informationCommon Risk Factors in Currency Markets
Common Risk Factors in Currency Markets Hanno Lustig UCLA Anderson and NBER Nick Roussanov Wharton Adrien Verdelhan Boston University and NBER April 2009 Abstract We identify a slope factor in exchange
More informationThe Returns to Currency Speculation in Emerging Markets
The Returns to Currency Speculation in Emerging Markets Craig Burnside, Martin Eichenbaum y, and Sergio Rebelo z February 2007 Abstract The carry trade strategy involves selling forward currencies that
More informationHow To Get A New Phone System For Your Business
Cisco Phone Systems Telemarketing Script Cold Call 1. Locate Contact: Name listed Owner General Manager / Office Manager Chief BDM (Business Decision Maker) Note: Avoid talking to IT since this is not
More informationThe Cross-section of Conditional Mutual Fund Performance in European Stock Markets Supplemental Web Appendix: Not for Publication
The Cross-section of Conditional Mutual Fund Performance in European Stock Markets Supplemental Web Appendix: Not for Publication Ayelen Banegas Federal Reserve Board Allan Timmermann University of California,
More informationFTSE All-World ex Fossil Fuels Index Series
FTSE FACTSHEET FTSE All-World ex Fossil Fuels Index Series Data as at: 31 August 2015 bmktitle1 Market participants are increasingly looking to manage carbon exposure in their investments, and reduce write-off
More informationBetting Against Beta
Betting Against Beta Andrea Frazzini AQR Capital Management LLC Lasse H. Pedersen NYU, CEPR, and NBER Preliminary Copyright 2010 by Andrea Frazzini and Lasse H. Pedersen Motivation Background: Security
More informationFTSE Global Small Cap Index
FTSE FACTSHEET FTSE Global Small Cap Index bmktitle1 The FTSE Global Small Cap Index is derived from FTSE's flagship Global Equity Series universe, which comprises around 7,000 securities worldwide, giving
More informationGlobal Marine Insurance Report 2008
Global Marine Insurance Report 28 Astrid Seltmann Facts & Figures Committee Analyst/Actuary, CEFOR, Norway Report on marine insurance premiums 26 and 27 By end of August 28, 49 of 54 members (ex 45 of
More informationClinical Trials. Local Trial Requirements
Clinical Trials Clinical trials insurance covers the legal liabilities of the insured in respect of clinical trials for bodily injury arising from the trial. The coverage provided by Newline is on the
More informationSeeking a More Efficient Fixed Income Portfolio with Asia Bonds
Seeking a More Efficient Fixed Income Portfolio with Asia s Seeking a More Efficient Fixed Income Portfolio with Asia s Drawing upon different drivers for performance, Asia fixed income may improve risk-return
More informationGfK PURCHASING POWER INTERNATIONAL
GfK PURCHASING POWER INTERNATIONAL 1 Agenda 1. Europe 3 2. Americas 45 3. Asia & Near East 54 4. Afrika 66 5. Australia 68 6. Overview of countries and available levels 70 2 2 EUROPE 4 GfK
More informationDigital TV Research. http://www.marketresearch.com/digital-tv- Research-v3873/ Publisher Sample
Digital TV Research http://www.marketresearch.com/digital-tv- Research-v3873/ Publisher Sample Phone: 800.298.5699 (US) or +1.240.747.3093 or +1.240.747.3093 (Int'l) Hours: Monday - Thursday: 5:30am -
More informationThe investment fund statistics
The investment fund statistics Narodowy Bank Polski (NBP) publishes data reported by investment funds which have been defined in Art. 3 section 1 of the Act of 27 May 2004 on investment funds (Journal
More informationKnow the Facts. Aon Hewitt Country Profiles can help: Support a decision to establish or not establish operations in a specific country.
Aon Hewitt Country Profiles Your eguide to employment requirements and practices Profiles for nearly 90 countries worldwide Risk. Reinsurance. Human Resources. Know the Facts Whether you are a newcomer
More informationBIS CEMLA Roundtable on Fiscal Policy, public debt management and government bond markets: issues for central banks
BIS CEMLA Roundtable on Fiscal Policy, public debt management and government bond markets: issues for central banks Is monetary policy constrained by fiscal policy? by Carlos Montoro 26-27 November 212
More informationFinancial Intermediaries and the Cross-Section of Asset Returns
Financial Intermediaries and the Cross-Section of Asset Returns Tobias Adrian - Federal Reserve Bank of New York 1 Erkko Etula - Goldman Sachs Tyler Muir - Kellogg School of Management May, 2012 1 The
More information5 Carry Trades and Currency Crashes
5 Carry Trades and Currency Crashes Markus K. Brunnermeier, Princeton University, NBER, and CEPR Stefan Nagel, Stanford University and NBER Lasse H. Pedersen, New York University, NBER, and CEPR I. Introduction
More informationVerdict Financial: Wealth Management. Data Collection and Forecasting Methodologies
Verdict Financial: Wealth Management Data Collection and Forecasting Methodologies April 2014 Contents Global Wealth Markets Methodology Methodology Methodology 2 Global Wealth Markets Section 1: Global
More informationCHICAGO STOCK EXCHANGE, INC. MARKET REGULATION DEPARTMENT INFORMATION CIRCULAR. RE: ishares CURRENCY HEDGED MSCI ETFS TO BEGIN TRADING ON CHX
July 2, 2015 ETF-015-073 CHICAGO STOCK EXCHANGE, INC. MARKET REGULATION DEPARTMENT INFORMATION CIRCULAR RE: ishares CURRENCY HEDGED MSCI ETFS TO BEGIN TRADING ON CHX Pursuant to Information Circular MR
More informationGlobal Economic Briefing: Global Inflation
Global Economic Briefing: Global Inflation August 7, Dr. Edward Yardeni -97-7 eyardeni@ Debbie Johnson -- djohnson@ Mali Quintana -- aquintana@ Please visit our sites at www. blog. thinking outside the
More informationCMMI for SCAMPI SM Class A Appraisal Results 2011 End-Year Update
CMMI for SCAMPI SM Class A 2011 End-Year Update Software Engineering Institute Carnegie Mellon University Pittsburgh, PA 15213 1 Outline Introduction Current Status Community Trends Organizational Trends
More informationGlobal AML Resource Map Over 2000 AML professionals
www.pwc.co.uk Global AML Resource Map Over 2000 AML professionals January 2016 Global AML Resources: Europe France Italy Jersey / Guernsey 8 Ireland 1 Portugal 7 Luxembourg 5 United Kingdom 1 50 11 Spain
More informationInvesting in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution.
Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution. Hanno Lustig UCLA and NBER Adrien Verdelhan Boston University December 13, 2005 Abstract Investors earn
More informationIOOF QuantPlus. International Equities Portfolio NZD. Quarterly update
IOOF QuantPlus NZD Quarterly update For the period ended 31 March 2016 Contents Overview 2 Portfolio at glance 3 Performance 4 Asset allocation 6 Overview At IOOF, we have been helping Australians secure
More informationMULTI-ASSET STRATEGIES REDEFINING THE UNIVERSE APRIL 2014
MULTI-ASSET STRATEGIES REDEFINING THE UNIVERSE APRIL 2014 INTRODUCTION Loved by many, reviled by others, multi-asset strategies are undeniably a key feature of the investment landscape. In the US they
More informationPrice Earnings Ratio: Definition
Price Earnings Ratio: Definition PE = Market Price per Share / Earnings per Share There are a number of variants on the basic PE ratio in use. They are based upon how the price and the earnings are defined.
More informationConsumer Credit Worldwide at year end 2012
Consumer Credit Worldwide at year end 2012 Introduction For the fifth consecutive year, Crédit Agricole Consumer Finance has published the Consumer Credit Overview, its yearly report on the international
More informationIMD World Talent Report. By the IMD World Competitiveness Center
2014 IMD World Talent Report By the IMD World Competitiveness Center November 2014 IMD World Talent Report 2014 Copyright 2014 by IMD: Institute for Management Development, Lausanne, Switzerland For further
More informationAudio Conferencing Service Comprehensive Telecommunications Services Group Number 77017 Award Number 20268 Contract Number PS63110
Audio Conferencing Comprehensive Telecommunications s Number PS63110 Audio Conferencing, Function or Device Reservationless Conferencing Solution Setup Meeting Center Multimedia Minute - Self-, Automated
More informationIntegration of the Mexican Stock Market. Abstract
Integration of the Mexican Stock Market Alonso Gomez Albert Department of Economics University of Toronto Version 02.02.06 Abstract In this paper, I study the ability of multi-factor asset pricing models
More informationTurkish Arab Economic Forum June 29, 2012. Mehmet Şimşek. Minister of Finance
Turkish Arab Economic Forum June 29, 2012 Mehmet Şimşek Minister of Finance 1 Outline Turkey: Short Term Outlook Managing a Soft Landing Fallout from the Euro Crisis Turkey & MENA REBALANCING Growing ON
More informationDSV Air & Sea, Inc. Aerospace Sector. DSV Air & Sea, Inc. Aerospace
DSV Air & Sea, Inc. Aerospace Sector DSV Air & Sea, Inc. Aerospace Introduction to DSV DSV is a global supplier of transport and logistics services. We have offices in more than 70 countries and an international
More informationConsolidated International Banking Statistics in Japan
Total (Transfer Consolidated cross-border claims in all currencies and local claims in non-local currencies Up to and including one year Maturities Over one year up to two years Over two years Public Sector
More informationTraditionally, venturing outside the United States has involved two investments:
WisdomTree ETFs INTERNATIONAL HEDGED EQUITY FUND HDWM Approximately 50% of the world s equity opportunity set is outside of the United States, 1 and the majority of that is in developed international stocks,
More informationRosy Blue International SA
For more information, please contact: Mark Stout +32 2 417 41 98 Enzo Soi + 32 2 417 35 51 Securitisation, KBC Bank This Information Memorandum is dated 30 November 2010 Rosy Blue International SA USD
More informationThe term structure of equity option implied volatility
The term structure of equity option implied volatility Christopher S. Jones Tong Wang Marshall School of Business Marshall School of Business University of Southern California University of Southern California
More informationResearch & Analytics. Low and Minimum Volatility Indices
Research & Analytics Low and Minimum Volatility Indices Contents 1. Introduction 2. Alternative Approaches 3. Risk Weighted Indices 4. Low Volatility Indices 5. FTSE s Approach to Minimum Variance 6. Methodology
More informationSunGard Best Practice Guide
SunGard Best Practice Guide What Number Should I Use? www.intercalleurope.com Information Hotline 0871 7000 170 +44 (0)1452 546742 conferencing@intercalleurope.com Reservations 0870 043 4167 +44 (0)1452
More informationWorld Stockmarket Forecasts
Information and Advice on World Stockmarkets from Securities Research Company's... Inte ternational Investor Issue No. 195 www.stockmarket.co.nz March 12, 2012 Aberdeen Asian SC considers capital raising...
More informationAverage Variance, Average Correlation and Currency Returns
Average Variance, Average Correlation and Currency Returns Gino Cenedese Bank of England Lucio Sarno Cass Business School and CEPR Ilias Tsiakas University of Guelph First version: August 2011 - Revised:
More informationEvaluating Managers on an After-Tax Basis
Evaluating Managers on an After-Tax Basis Brian La Bore Senior Manager Research Analyst Head of Traditional Research Greycourt & Co., Inc. March 25 th, 2009 Is Your Alpha Big Enough to Cover Its Taxes?
More informationData Modeling & Bureau Scoring Experian for CreditChex
Data Modeling & Bureau Scoring Experian for CreditChex Karachi Nov. 29 th 2007 Experian Decision Analytics Credit Services Help clients with data and services to make business critical decisions in credit
More informationH. Swint Friday Ph.D., Texas A&M University- Corpus Christi, USA Nhieu Bo, Texas A&M University-Corpus Christi, USA
THE MARKET PRICING OF ANOMALOUS WEATHER: EVIDENCE FROM EMERGING MARKETS [INCOMPLETE DRAFT] H. Swint Friday Ph.D., Texas A&M University- Corpus Christi, USA Nhieu Bo, Texas A&M University-Corpus Christi,
More informationFX strategies in periods of distress 1
Jacob Gyntelberg Andreas Schrimpf jacob.gyntelberg@bis.org andreas.schrimpf@bis.org FX strategies in periods of distress 1 This article presents an overview of widely practised short-term multicurrency
More informationTHE CISCO CRM COMMUNICATIONS CONNECTOR GIVES EMPLOYEES SECURE, RELIABLE, AND CONVENIENT ACCESS TO CUSTOMER INFORMATION
CUSTOMER SUCCESS STORY THE CISCO CRM COMMUNICATIONS CONNECTOR GIVES EMPLOYEES SECURE, RELIABLE, AND CONVENIENT ACCESS TO CUSTOMER INFORMATION EXECUTIVE SUMMARY CUSTOMER NAME Coleman Technologies INDUSTRY
More informationBrochure More information from http://www.researchandmarkets.com/reports/3278449/
Brochure More information from http://www.researchandmarkets.com/reports/3278449/ The 2016 World Forecasts of Hand-Operated Date, Sealing, or Numbering Stamps; Devices for Printing or Embossing Labels;
More informationExcessive Return Determines the Value of International Equity Markets
What Do Stock Markets Tell Us About Exchange Rates? Gino Cenedese Richard Payne Lucio Sarno Giorgio Valente This draft: December 18, 2013 Abstract The Uncovered Equity Parity (UEP) condition states that
More informationE-Seminar. Financial Management Internet Business Solution Seminar
E-Seminar Financial Management Internet Business Solution Seminar Financial Management Internet Business Solution Seminar 3 Welcome 4 Objectives 5 Financial Management 6 Financial Management Defined 7
More informationForward and Spot Exchange Rates in a Multi-Currency World
Forward and Spot Exchange Rates in a Multi-Currency World Tarek A. Hassan Rui C. Mano Very Preliminary and Incomplete Abstract We decompose the covariance of currency returns with forward premia into a
More informationSGX Market (traded currency in SGD) Contract value Broker Assisted Online Less than or equal to S$50,000 0.50% 0.275% S$50,001 - S$100K 0.40% 0.
Commission Rates and Charges Singapore Exchange For stocks listed in SGX: SGX Market (traded currency in SGD) Contract value Less than or equal to S$50,000 0.50% 0.275% S$50,001 - S$100K 0.40% 0.22% More
More informationSTATE OF GLOBAL E-COMMERCE REPORT (Preview) February 2013
STATE OF GLOBAL E-COMMERCE REPORT (Preview) February 2013 THE E-COMMERCE REPORT WHAT IS THE E-COMMERCE REPORT? It is an annual investigation into the global uptake and impact of e- commerce. The report
More informationCONSIDERATIONS WHEN CONSTRUCTING A FOREIGN PORTFOLIO: AN ANALYSIS OF ADRs VS ORDINARIES
THE APERIO DIFFERENCE. Authors Michael Branch, CFA Ran Leshem CONSIDERATIONS WHEN CONSTRUCTING A FOREIGN PORTFOLIO: AN ANALYSIS OF ADRs VS ORDINARIES U.S. investors can capture international equity exposure
More informationGlobal Effective Tax Rates
www.pwc.com/us/nes Global s Global s April 14, 2011 This document has been prepared pursuant to an engagement between PwC and its Client. As to all other parties, it is for general information purposes
More informationInvestors and Central Bank s Uncertainty Embedded in Index Options On-Line Appendix
Investors and Central Bank s Uncertainty Embedded in Index Options On-Line Appendix Alexander David Haskayne School of Business, University of Calgary Pietro Veronesi University of Chicago Booth School
More informationThe Carry Trade in Industrialized and Emerging Markets
The Carry Trade in Industrialized and Emerging Markets Craig Burnside January 2014 Abstract I revisit the evidence on the profits associated with currency carry trades, explore its relationship to the
More information- 2 - Chart 2. Annual percent change in hourly compensation costs in manufacturing and exchange rates, 2010-2011
For release 10:00 a.m. (EST) Wednesday, December 19, 2012 USDL-12-2460 Technical Information: (202) 691-5654 ilchelp@bls.gov www.bls.gov/ilc Media Contact: (202) 691-5902 PressOffice@bls.gov INTERNATIONAL
More informationEnterprise Mobility Suite (EMS) Overview
Enterprise Mobility Suite (EMS) Overview Industry trends driving IT pressures Devices Apps Big data Cloud 52% of information workers across 17 countries report using 3+ devices for work Enable my employees
More informationSulfuric Acid 2013 World Market Outlook and Forecast up to 2017
Brochure More information from http://www.researchandmarkets.com/reports/2547547/ Sulfuric Acid 2013 World Market Outlook and Forecast up to 2017 Description: Sulfuric Acid 2013 World Market Outlook and
More information